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I've setup the base system for a small engine-ish library I'm working on and am at the point where I can start developing a game along side it.
As I've started doing that, I've noticed that if I try to step-into one of the engine's methods from the DLL, it doesn't allow me to.
Is there a way to set it up so that I can step-into the code from the library?
Another thing is, I've been copying the DLL over from the engine project's directory every time I make a change and compile. Hopefully I'll be making less and less changes as I get the bugs worked out, but is there a way to have it always link with that DLL location, rather than having to copy it over all the time?

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You did not mention your IDE. But the short answer to your question is "yes".

There are usually ways to do both. For example if you're using Visual Studio, then you can build your DLL as "debug" and to make debugging easier add the DLL project to your solution. You can also use the "Post-Build" settings to automatically copy your DLL upon building to the correct location. Alternatively (but not less recommended) you can use relative paths when setting the DLL paths as input to the linker (in VS this is in the Linker settings).